Calvert Large Correlations

Mutual Funds . USA . 
Fund . Calvert Large Cap
CGJIX Fund  USD 75.28  0.55  0.73%   
The current 90-days correlation between Calvert Large Cap and Hotchkis And Wiley is 0.24 (i.e., Modest diversification). The correlation of Calvert Large is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Calvert Large Correlation With Market

Poor diversification

The correlation between Calvert Large Cap and DJI is 0.69 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Large Cap and DJI in the same portfolio, assuming nothing else is changed.
  
Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Calvert Large Cap. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in gross domestic product.

Moving together with Calvert Mutual Fund

  0.64CEYIX Calvert Equity Portfolio Potential GrowthPairCorr
  0.69CFAIX Calvert ConservativePairCorr
  0.64CGACX Calvert Global EnergyPairCorr
  0.79CGJAX Calvert Large CapPairCorr
  0.65CIOAX Calvert InternationalPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between Calvert Mutual Fund performing well and Calvert Large Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Calvert Large's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.
Mean DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
CGJAX  0.60  0.00 (0.03) 0.07  0.95 
(0.52)
 1.13 
(1.54)
 3.89 
FAMEX  0.59 (0.03)(0.05) 0.00  0.71 
(0.64)
 1.35 
(1.06)
 4.14 
HWSIX  0.79  0.05  0.06  0.08  0.78 
(0.86)
 2.17 
(1.28)
 5.03 
HWSCX  0.79  0.05  0.06  0.08  0.79 
(0.85)
 2.18 
(1.28)
 5.05 
FCIRX  0.61 (0.01)(0.05)(0.11) 0.80 
(0.63)
 1.09 
(1.32)
 3.76 
BAMPX  0.28  0.02 (0.02) 0.32  0.33 
(0.31)
 0.59 
(0.66)
 1.77 
HGHAX  0.67  0.11  0.11  0.72  0.54 
(0.78)
 1.91 
(1.03)
 3.94 
EEMAX  0.79  0.24  0.28  1.10  0.44 
(1.01)
 1.82 
(1.14)
 5.47 
IVFIX  0.45  0.12  0.16  1.38  0.21 
(0.61)
 1.09 
(0.83)
 2.74 
HWSAX  0.78  0.08  0.07  0.30  0.78 
(0.86)
 2.17 
(1.28)
 5.06 

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